Essays about: "Backwardation"

Found 2 essays containing the word Backwardation.

  1. 1. Trading Volatility : Trading strategies based on the VIX term structure.

    University essay from Umeå universitet/Företagsekonomi

    Author : Oskar Fransson; Henrik Mark Almqvist; [2020]
    Keywords : Volatility; VIX futures; VIX ETP; VIX ETF; VIX ETN; VIX index; VIX term structure; VIX trading; Volatility trading; Contango; Backwardation; Roll yield; Options; Futures;

    Abstract : This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. READ MORE

  3. 2. Petroleum Inventory Level: A Leading Indicator of Crude Oil Prices

    University essay from Göteborgs universitet/Graduate School

    Author : Marcus Larsson; [2018-07-04]
    Keywords : Petroleum Inventory; Crude oil price; Term Structure; Backwardation;

    Abstract : This paper proposes a short-term forecasting model of West Texas Intermediate (WTI) crude oil spot prices using United States petroleum inventory levels and the spread between front-month futures prices and back-month futures prices. Applying the model between January 2010 to January 2018, I find that the model outperforms a naïve forecasting model with a convincing margin. READ MORE